Performance of information criteria for selection of Hawkes process models of financial data-Reference-Cited by-同舟云学术

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Performance of information criteria for selection of Hawkes process models of financial data

Published:2017-12-19 Issue:2 Volume:18 Page:225-235
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Chen J.¹,Hawkes A. G.²,Scalas E.³,Trinh M.³

Affiliation:

1. School of Mathematics, Cardiff University, Senghennydd Road, Cardiff, CF24 4AGUK.

2. School of Management, Swansea University, Bay Campus, Fabian Way, Swansea, SA1 8ENUK.

3. Department of Mathematics, School of Mathematical and Physical Sciences, University of Sussex, Brighton, BN1 9QHUK.

Funder

University of Sussex

Strategic Development Fund of the University of Sussex

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1403140

Reference40 articles.

1. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

2. An empirical investigation of Australian Stock Exchange data

3. Modelling security market events in continuous time: Intensity based, multivariate point process models

4. Hawkes branching point processes without ancestors

5. Multimodel Inference

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